Thibaut Duprey

Senior Analyst

Thibaut Duprey is a Senior Analyst in the Financial Stability Department. His main interests include macro-financial linkages, banking theory, systemic risks, financial crises, and the associated prudential policies. Before joining the bank, he was an economist at the Financial Stability Directorate of the Banque de France. He received his Ph.D. in Economics from the Paris School of Economics.

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Thibaut Duprey

Senior Analyst
Financial Stability
Real Sector Stability

Bank of Canada
234 Laurier Avenue West
Ottawa, ON, K1A 0G9

Latest

Dating Systemic Financial Stress Episodes in the EU Countries

Staff Working Paper 2016-11 Thibaut Duprey, Benjamin Klaus, Tuomas Peltonen
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Economic models, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15

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Refereed Journals

  • Do publicly-owned banks lend against the wind? (2015). International Journal of Central Banking, 11(2).

Other Publications

  • Macroprudential framework: key questions applied to the French case (2014). Banque de France Occasional papers, n° 9.
    (with Taryk Bennani, Morgan Després, Marine Dujardin and Anna Kelber (Banque de France)).

Other Working Papers

  • "Does the heterogeneity in bank efficiency matter ?"
  • "Procyclical leverage and endogeneous Value-at-Risk constraint."
  • "Dating Systemic Financial Stress Episodes in the EU Countries."
    (with Benjamin Klaus (ECB) and Tuomas Peltonen (ECB)).
  • "Bank Capital Adjustment Process and Aggregate Lending."
    (with Mathias Lé (French Prudential Authority)).
  • "A DSGE model for a Macroprudential policy assessment in France."
    (with David Gauthier (Banque de France and University Paris 1), Julien Idier (Banque de France) and Pierlauro Lopez (Banque de France)).
  • "Bankscope dataset : getting started."
    (with Mathias Lé (French Prudential Authority)).

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Bank Publications

Education

  • Ph.D. Economics, Paris School of
  • Economics, France
  • M.Sc. Economics, Paris School of Economics, France
  • B.Sc. Economics and LL.B. Law, Lorraine University, France

Research Interests

  • Macro-finance
  • Macroprudential policy
  • Financial economics
  • Banking theory
  • Early warning
  • Systemic risk
  • Financial crises

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Thibaut Duprey

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